... liquidityrisk premium is reduced at longer horizons, since market risk dominates liquidity risk.Yet, liquidity risk remains economically significant for larger portfolios. Disregardingliquidity risk, ... P. Giot, and J. Grammig, 2002, Expected and unexpected cost of tradingin the XETRA automated auction market, Mimeo, CORE.Biais, B., P. Hillion, and C. Spatt, 1999, Price discovery and learning ... cannot be procured from standarddatabases. However, a more precise way to allow for liquidity risk becomes feasible withricher data at hand. The approach pursued in this paper relies on the availability...